These numbers are meaningless unless you look at the average daily range or the "travel" distance of these contracts. Even with this low VIX, eRL "travels" nearly $1000/contract per day. That's the stat you want to compare.

These numbers are meaningless unless you look at the average daily range or the "travel" distance of these contracts. Even with this low VIX, eRL "travels" nearly $1000/contract per day. That's the stat you want to compare.

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syswizard, that stat is better, but still meaningless, from my perspective.

I track 20-day daily ATR per unit of margin for currencies and metals only (what I trade). That tells me potential intraday return, normalized for available margin consumption / use / drag. This "bang for the buck" efficiency measure -- I call it MAV (margin-adjusted volatility) -- is essential to my asset allocation work and money management.

Using your ATR figure and typical intraday initial margin of $1,688, ER2's MAV would be 9% above that for the most efficient of the 19 currency pairs I track (USD/ZAR) and 18% below that for Gold. Using ER2's overnight initial margin of $3,375 would, of course, cut its MAV in half, sending it to the 2nd place from the bottom of the currency pack, ahead of the wild-and-woolly (not) EUR/CHF.

Do you worry that the margin requirements are not set by the collective actions of all market participants, and are therefore not "correct" in the sense of Adam Smith's Invisible Hand?

Margin requirements are set by the exchange. They can be modified at-will, whenever the exchange wishes, for any reasons whatsoever (including caprice), reasons having nothing to do with fundamentals or price action or volume.

A ratio such as (volatility / margin) has a market-activity-derived number in the numerator, and a random number in the denominator. So the ratio itself, is random. Does this not worry you?

Then there's the problem of historical testing. It is notoriously difficult to obtain the historical data stream of margin requirements vs. time. Does this not worry you? I presume you don't just plug in today's margin requirements, for all of past history....

track 20-day daily ATR per unit of margin for currencies and metals only (what I trade). That tells me potential intraday return

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This doesn't make sense at all. Daily range data, especially including "gaps" outside of the trading day is not a good proxy for movement "potential" intraday. For instance an index can go straight up all day, low to high, for 8 points. Another index could go up 6, down 4, up 6, and then down 5. Same intraday range...BUT nearly 2.5 times the "movement".